ILNumerics Ultimate VSILMathchol Method (InArrayDouble, Boolean)ILNumerics Ultimate VS Documentation
ILNumerics - Technical Application Development
Cholesky factorization of a symmetric, positive definite matrix.

[ILNumerics Computing Engine]

Namespace: ILNumerics
Assembly: ILNumerics.Computing (in ILNumerics.Computing.dll) Version: 5.3.0.0 (5.3.7131.2749)
Syntax

public static RetArray<double> chol(
	InArray<double> A,
	bool throwException = true
)

Parameters

A
Type: ILNumericsInArrayDouble
Input matrix. A must be a symmetric/hermitian matrix.
throwException (Optional)
Type: SystemBoolean
Throws an ArgumentException if A is found to be not positive definite.

Return Value

Type: RetArrayDouble
Cholesky factorization of A.
Remarks

No check is performed on A's symmetry for performance reasons.

If throwException is true and A is found to be not positive definite an ArgumentException is thrown and the operation is canceled.

If throwException is false, check the return value's dimension to determine the success of the operation (unless you are sure, A was positive definite). If A was found not to be positive definite the matrix returned will be of dimension [k x k] and the result of the cholesky factorization of A[0:k-1;0:k-1]. Here k is the first leading minor of A at which A was found to be not positive definite.

The factorization is carried out by use of the LAPACK functions DPOTRF, ZPOTRF, SPOTRF or CPOTRF respectively.

[ILNumerics Computing Engine]

See Also

Reference